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Standardized Innovations

stdInnov.Rd

Standardizes Kalman filter innovations. This is a helper function called by MARSSinnovationsboot() in the MARSS-package. Not exported.

Usage

stdInnov(SIGMA, INNOV)

Arguments

SIGMA

n x n x T array of Kalman filter innovations variances. This is output from MARSSkf.

INNOV

n x T matrix of Kalman filter innovations. This is output from MARSSkf().

Details

n = number of observation (y) time series. T = number of time steps in the time series.

Value

n x T matrix of standardized innovations.

References

Stoffer, D. S., and K. D. Wall. 1991. Bootstrapping state-space models: Gaussian maximum likelihood estimation and the Kalman filter. Journal of the American Statistical Association 86:1024-1033.

Author

Eli Holmes, NOAA, Seattle, USA.

See also

MARSSboot(), MARSSkf(), MARSSinnovationsboot()

Examples

  if (FALSE) {
  std.innovations <- stdInnov(kfList$Sigma, kfList$Innov)
  }